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All Journal JMM UNRAM (Jurnal Magister Manajemen Universitas Mataram)
Laila Wardani
UNRAM
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OPTIMIZING PORTFOLIO RETURN WITH NAÏVE DIVERSIFICATION-BASED MODELLING Baiq Nurul Suryawati; Laila Wardani; Muttaqillah Muttaqillah; Iwan Kusmayadi
JMM UNRAM - MASTER OF MANAGEMENT JOURNAL Vol. 10 No. 1 (2021): JMM Maret 2021
Publisher : Master of Management, Mataram University

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (1141.231 KB) | DOI: 10.29303/jmm.v10i1.646

Abstract

This study aims at applying naïve diversification-based modeling in formation of optimal portfolios and to test the superiority of these portfolios against its sectoral indexes. The population of this study are all companies listed on the Indonesia Stock Exchange which are grouped into 10 sectors, namely: Agriculture; Basic Industry; Consumer; Finance; Infrastructure; Manufacture; Mining; Miscelanous Industry; Property; and Trade. The sample of this company is Top 10 Constituents in each company sector listed in the fact sheet per sector, published by the Indonesia Stock Exchange. The analytical tools used were paired sample statistics, paired sample correlations and significance tests. The results shows that portfolio formed with naïve diversification modeling shows its superiority compared to its sectoral portfolio. The correlation test shows moderate significance relationship between returns and standard deviation of sectoral portfolios with naïve diversification-based portfolios, while beta shows no meaningful relationship between sectoral portfolios and portfolios with naïve diversification modeling. Discrimination tests show the significance of returns and standard deviations between sectoral and naïve diversification modeling-based portfolios. While in line with the correlation test, there is no significant difference between the beta of the two portfolios, so it appears that the volatility of the two portfolios cannot be separated from overall market movement. For bearish market conditions, the level of portfolio loss using naïve diversification modeling is lower than sector-based portfolios in the Indonesia Stock Exchange.Keywords:investment, sector indexes, simplified, portfolio modelling 
PROFITABILITAS STRATEGI KONTRARIAN DI BURSA EFEK INDONESIA Burhanudin Burhanudin; I Gede Mandra; Laila Wardani
JMM UNRAM - MASTER OF MANAGEMENT JOURNAL Vol. 10 No. 2 (2021): JMM Juni 2021
Publisher : Master of Management, Mataram University

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (1021.968 KB) | DOI: 10.29303/jmm.v10i2.657

Abstract

The efficient market hypothesis implies that no investor can get an abnormal return. This hypothesis has become a research topic that many researchers refer to. However, this hypothesis is strongly refuted after the discovery of several anomalies that are inconsistent with the efficient market hypothesis. One of them was found by De Bondt and Thaler (1985), that stock prices have a certain tendency, namely that stocks that perform well in one period will become stocks that perform poorly in the next period. Vice versa. This phenomenon is called overreaction or overreaction. These findings motivated further researchers to apply contrarian strategies to gain an advantage when there was an overreaction. This research is a study that is intended to obtain evidence of the ability of contrarian strategies in obtaining abnormal returns. This study aims to analyze the occurrence of overreaction on stocks on the Indonesia Stock Exchange and to analyze the advantages of implementing a contrarian strategy for investors. This research was conducted at companies listed on the Indonesia Stock Exchange. The companies selected were 100 companies with the most active transactions during 2019. From the results of data analysis, it can be concluded that there was a price reversal for the shares listed on the Indonesia Stock Exchange. This result is quite strong because it has been tested for up to 4 weeks. Despite the price reversal, the contrarian strategy was not able to generate significant returns for investors.Keywords :contrarian strategy, abnormal return, overreaction  
Co-Authors Baiq Nurul Suryawati Burhanudin Burhanudin I Gede Mandra Iwan Kusmayadi Muttaqillah Muttaqillah